# Yield curve steepening/flattening using different duration treasury futures (TUT Spread) and volatility

Yield curve steepening: long 2 contracts 2 year (2 contracts due to contract size), short 1 contract 10 year Vice versa for flattening.

If the 2 year note has a expected volatility of 2% per contract (or 4% for 2 contracts) and the 10 year has a expected volatility of 6%, how can i calculate the expected volatility of this spread?

• "how can i calculate the expected volatility of this spread?" - why not just look at the realised vol of the PNL for your given ratio? (which is not DV01-neutral). There are other ways to do it but this might be the simplest. Sep 9 at 14:50